Implementing Markovian models for extendible Marshall-Olkin distributions

DOI10.1515/demo-2022-0151zbMath1515.60079OpenAlexW4312729731MaRDI QIDQ6160717

Henrik Sloot

Publication date: 26 June 2023

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2022-0151

zbMATH Keywords

Markov processesexchangeabilitymultivariate survival analysisMarshall-Olkin distributionsampling algorithmlack of memory

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exchangeability for stochastic processes (60G09) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

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• Simulating Copulas
• Markov Chains
• Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk
• A Multivariate Exponential Distribution
• Bernstein functions. Theory and applications
• Numerical Analysis

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